Change-point estimators in case of small disorders

DOI10.1016/0378-3758(94)90140-6zbMath0804.62038OpenAlexW1998315082MaRDI QIDQ1330217

Dietmar Ferger

Publication date: 24 January 1995

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(94)90140-6

zbMATH Keywords

invariance principleboundary effectschange in distributionchange-point estimatorsmaximizers of weighted U-statistic-type processesnew maximal inequalitiesnormalized increment processtriangular array of row-wise independent random elementstwo-sided Brownian motion with negative drift

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Functional limit theorems; invariance principles (60F17)

Related Items (20)

Nonparametric detection of changepoints for sequentially observed data ⋮ On the estimation of a changepoint in a tail index ⋮ Weighted Least Squares Estimators for a Change-Point ⋮ Approximations for the time of change and the power function in change-point models ⋮ The change-point problem for dependent observations ⋮ The CUSUM statistics of change-point models based on dependent sequences ⋮ Convergence in distribution of multiple change point estimators ⋮ Estimators for the Time of Change in Linear Models ⋮ ASYMPTOTIC PROPERTIES OF THE CUSUM ESTIMATOR FOR THE TIME OF CHANGE IN LINEAR PANEL DATA MODELS ⋮ Bootstrapping confidence intervals for the change-point of time series ⋮ Bayesian-type estimators of change points ⋮ Multiple change-point estimation with U-statistics ⋮ Exponential and polynomial tailbounds for change-point estimators ⋮ On two estimates related to the change-point problem ⋮ \(U\)-statistics for change under alternatives ⋮ A continuous mapping theorem for the argmax‐functional in the non‐unique case ⋮ Limit theorems for kernel-type estimators for the time of change ⋮ Rank based estimators of the change-point ⋮ Nonparametric monitoring of financial time series by jump-preserving control charts ⋮ The likelihood ratio method for testing changes in the parameters of double exponential observations

Cites Work

• A Non-Parametric Approach to the Change-Point Problem
• Nonparametric change-point estimation
• Invariance principles for changepoint problems
• Maximum likelihood estimation of a change-point in the distribution of independent random variables: general multiparameter case
• The asymptotic behavior of some nonparametric change-point estimators
• Convergence of changepoint estimators
• An extension of the Csörgő-Horváth functional limit theorem and its applications to changepoint problems
• The minimum of an additive process with applications to signal estimation and storage theory
• A Nonparametric Method for the a Posteriori Detection of the “Disorder” Time of a Sequence of Independent Random Variables
• Inference about the change-point in a sequence of binomial variables
• Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time
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